Steam Link is a solution for extending your Steam games library to any room of the house via your home network. You can turn your Raspberry Pi into a Steam Link.

Step 1: Equipment List

For your Steam Link you need the following equipment:

Raspberry Pi
Micro SD Card with Raspbian
Ethernet Cable or WiFi Dongle (Pi 3 has WiFi inbuilt)
Power Adapter

Recommended:

Step 2: Check for Updates

Type in this command to check for updates:

sudo apt-get update

Step 3: Install the Steam Link Software

To install the software type in the following line:

sudo apt-get install steamlink

If you are running a version of Raspbian that does not include a graphical user interface such as "Raspbian Stretch Lite", you will need to install the following additional package for the Steam Link software:

sudo apt-get install zenity

Step 4: Configuring the Steam Link Software

This step should be done by having physical access to the Pi with mouse and keyboard, or by using a remote desktop tool such as VNC or xrdp. I recommend to use xrdp on windows computers, because the remote desktop client is already installed.

You can install xrdp with the following command:

sudo apt-get install xrdp

Now you can connect to your Pi with the Windows Remote Desktop Client software.

How to install and connect to a VNC server on Raspberry Pi?

Configuration

Start the Steam Link software by opening a terminal and typing in the following command
steamlink
(A window opens)
Click on 'Get Started'
You can now pair a controller, or skip if you want to pair it later
Now you need to connect to your computer. If your computer does not appear, make sure you have "In-Home Streaming" enabled on your computer.
After selecting your computer, you will be prompted to enter the code from the Steam Link on you computer
If you have done everything correctly, you will see a window with a "Start Playing" button

You have now successfully created a Steam Link out of your Raspberry Pi! Happy gaming!